Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0562 |
| Annualized Std Dev | 0.1618 |
| Annualized Sharpe (Rf=0%) | -0.3474 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3561.0000 |
| NAs | 1.0000 |
| Minimum | -0.1839 |
| Quartile 1 | -0.0035 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0002 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0036 |
| Maximum | 0.1348 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0102 |
| Skewness | -1.0946 |
| Kurtosis | 50.7707 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0075 |
| Gain Deviation | 0.0080 |
| Loss Deviation | 0.0091 |
| Downside Deviation (MAR=210%) | 0.0124 |
| Downside Deviation (Rf=0%) | 0.0076 |
| Downside Deviation (0%) | 0.0076 |
| Maximum Drawdown | 0.7254 |
| Historical VaR (95%) | -0.0131 |
| Historical ES (95%) | -0.0249 |
| Modified VaR (95%) | -0.0094 |
| Modified ES (95%) | -0.0094 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2020-03-18 | NA | -0.7254 | 3554 | 3300 | NA |
| 2007-01-30 | 2007-01-31 | 2007-02-01 | -0.0030 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0.7 | -0.9 | 0.4 | 1 | 1.7 | -1.9 | -0.8 | 1.6 | -0.2 | -0.8 | -0.3 | 0.4 | 0.7 |
| 2008 | 0.5 | -0.9 | 0.4 | 0.5 | 1.5 | -0.8 | 1.3 | 0.7 | -1.1 | 0.4 | -4.1 | 1.8 | 0 |
| 2009 | -1.3 | -1.6 | 1 | -0.2 | 1.3 | 0.4 | 1.7 | -2 | -0.5 | -1.1 | 0.9 | -0.2 | -1.7 |
| 2010 | 0 | 0.4 | 0.2 | -0.3 | -0.4 | -0.7 | 0.6 | 1 | 0.9 | -0.1 | 1.4 | 0.8 | 4 |
| 2011 | 0.3 | 0 | 0.2 | 0.1 | -0.3 | 0.3 | 0.6 | -0.9 | -1.2 | -0.3 | -0.2 | 0.2 | -1.2 |
| 2012 | 0.9 | 0.8 | 0 | 0.6 | -0.8 | 0.5 | 0.3 | 0 | 0.1 | 1.3 | 0.1 | 0.8 | 4.5 |
| 2013 | 0.2 | 0.3 | -0.2 | -0.3 | 0.3 | 1.5 | 0.2 | 0.7 | -0.4 | 0.2 | 0.4 | -0.3 | 2.6 |
| 2014 | 0 | 0.1 | 0.2 | 0.2 | 0.7 | 0.3 | -0.2 | -0.1 | -0.7 | 0.2 | -0.6 | -0.1 | -0.1 |
| 2015 | -0.3 | 0.1 | -0.1 | 0 | 0 | 1.5 | 0.3 | -0.1 | -0.8 | -0.1 | 0.3 | -0.5 | 0.2 |
| 2016 | -0.1 | 0.2 | -0.2 | 0.1 | -0.2 | 0 | 0 | 0.1 | 0.6 | -0.4 | -0.1 | -0.3 | -0.3 |
| 2017 | 0.6 | 0.4 | -0.3 | -0.5 | 0.7 | 0.1 | 0.2 | 0.4 | 0 | -0.9 | 0.8 | -0.7 | 0.8 |
| 2018 | 0.1 | 0.6 | 0.5 | 0.5 | 0.4 | 0 | 0.5 | 0.4 | -0.4 | -0.3 | 0.1 | 1.4 | 4.1 |
| 2019 | -0.4 | -0.6 | -0.6 | 0.2 | -0.3 | 0.3 | 0.1 | -0.3 | -0.1 | -0.1 | 0.3 | 1 | -0.7 |
| 2020 | -0.5 | -1.1 | -4.1 | 0 | -0.1 | 0 | 0.1 | 0.2 | 0.4 | 0.7 | -0.1 | 0.1 | -4.4 |
| 2021 | 0.6 | -0.3 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
